Job Description:
The purpose of this role is to be an independent party to validate front office and vendor systems relating to risk and P&L computation and provide guidance on model related issues.
Key Responsibilities:
Develop benchmark models to validate front office pricing functions and prepare technical documentation of model validation.Liaise with front office quantitative analysts to ensure speedy approval of new models.Assist market risk managers on trade approvals and finance on price verification methodologies.Understand local regulatory requirements and be aware of market environment / practices that will impact assigned books / products.Develop, review and ensure compliance with Group Market Risk policies and risk management methodologies for existing and new products.Develop, implement and maintain Market Risk Policy, Methodology and Procedures.Qualifications:
MSc in mathematics, physics, engineering, or quantitative finance. PhD is preferred.Excellent analytical skills and knowledge of probability theory, stochastic calculus, Monte Carlo simulations and PDE techniques.Able to work in autonomy.Must-have Criterias:
Sound judgement in assessing strengths and weaknesses of modeling approaches.Very strong in C++ programming skills.Significant previous experience developing or validating derivative pricing models.Good relational skills to communicate issues to the front office and risk management.
